/**
  * Computes the option security price volatility sensitivity. The future price is computed without
  * convexity adjustment.
  *
  * @param security The future option security.
  * @param normalData The normal volatility and multi-curves provider.
  * @return The security price Black volatility sensitivity.
  */
 public SurfaceValue priceNormalSensitivity(
     final InterestRateFutureOptionMarginSecurity security,
     final NormalSTIRFuturesSmileProviderInterface normalData) {
   ArgumentChecker.notNull(security, "Option security");
   ArgumentChecker.notNull(normalData, "Normal data");
   // Forward sweep
   final double priceFuture =
       METHOD_FUTURE.price(security.getUnderlyingFuture(), normalData.getMulticurveProvider());
   final double strike = security.getStrike();
   final EuropeanVanillaOption option =
       new EuropeanVanillaOption(strike, security.getExpirationTime(), security.isCall());
   final double delay =
       security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
   final double volatility =
       normalData.getVolatility(security.getExpirationTime(), security.getStrike(), delay);
   final NormalFunctionData normalPoint = new NormalFunctionData(priceFuture, 1.0, volatility);
   // Backward sweep
   final double[] priceAdjoint = new double[3];
   NORMAL_FUNCTION.getPriceAdjoint(option, normalPoint, priceAdjoint);
   final double priceBar = 1.0;
   final double volatilityBar = priceAdjoint[1] * priceBar;
   final DoublesPair expiryStrikeDelay = new DoublesPair(security.getExpirationTime(), strike);
   final SurfaceValue sensi = SurfaceValue.from(expiryStrikeDelay, volatilityBar);
   return sensi;
 }
 /**
  * Computes the option security price curve sensitivity. The future price is computed without
  * convexity adjustment. It is supposed that for a given strike the volatility does not change
  * with the curves (sticky strike).
  *
  * @param security The future option security.
  * @param normalData The normal volatility and multi-curves provider.
  * @return The security price curve sensitivity.
  */
 @Override
 public MulticurveSensitivity priceCurveSensitivity(
     final InterestRateFutureOptionMarginSecurity security,
     final NormalSTIRFuturesSmileProviderInterface normalData) {
   ArgumentChecker.notNull(security, "Option security");
   ArgumentChecker.notNull(normalData, "Normal data");
   // Forward sweep
   final double priceFuture =
       METHOD_FUTURE.price(security.getUnderlyingFuture(), normalData.getMulticurveProvider());
   final EuropeanVanillaOption option =
       new EuropeanVanillaOption(
           security.getStrike(), security.getExpirationTime(), security.isCall());
   final double delay =
       security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
   final double volatility =
       normalData.getVolatility(security.getExpirationTime(), security.getStrike(), delay);
   final NormalFunctionData normalPoint = new NormalFunctionData(priceFuture, 1.0, volatility);
   // Backward sweep
   final double[] priceAdjoint = new double[3];
   NORMAL_FUNCTION.getPriceAdjoint(option, normalPoint, priceAdjoint);
   final double priceBar = 1.0;
   final double priceFutureBar = priceAdjoint[0] * priceBar;
   final MulticurveSensitivity priceFutureDerivative =
       METHOD_FUTURE.priceCurveSensitivity(
           security.getUnderlyingFuture(), normalData.getMulticurveProvider());
   return priceFutureDerivative.multipliedBy(priceFutureBar);
 }
 /**
  * Computes the option security price from future price.
  *
  * @param security The future option security.
  * @param normalData The normal volatility and multi-curves provider.
  * @param priceFuture The price of the underlying future.
  * @return The security price.
  */
 public double priceFromFuturePrice(
     final InterestRateFutureOptionMarginSecurity security,
     final NormalSTIRFuturesSmileProviderInterface normalData,
     final double priceFuture) {
   ArgumentChecker.notNull(security, "Option security");
   ArgumentChecker.notNull(normalData, "Normal data");
   final EuropeanVanillaOption option =
       new EuropeanVanillaOption(
           security.getStrike(), security.getExpirationTime(), security.isCall());
   final double delay =
       security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
   final double volatility =
       normalData.getVolatility(security.getExpirationTime(), security.getStrike(), delay);
   final NormalFunctionData normalPoint = new NormalFunctionData(priceFuture, 1.0, volatility);
   final double priceSecurity = NORMAL_FUNCTION.getPriceFunction(option).evaluate(normalPoint);
   return priceSecurity;
 }